PDA_COVMAT - Approximates the covariance matrix of normal order statistics

Description:

This routine computes and normalises the David-Johnson approximation for the covariance matrix of normal order statistics. The value V11 can be calculated using the PDA_V11 routine and the values of EX1, EX2 and SUMM2 using PDA_NSCOR.

Invocation:

CALL PDA_COVMAT( V, N, MDIM, V11, EX1, EX2, SUMM2, IFAULT )

Arguments:

V( MDIM, N ) = DOUBLE PRECISION (Returned)

The covariance approximation.

N = INTEGER (Given)

The sample size.

MDIM = INTEGER (Given)

First dimension of V as declared in the calling routine.

V11 = DOUBLE PRECISION (Given)

Exact value of the extreme variance V(1,1).

EX1 = DOUBLE PRECISION (Given)

Absolute expected value of the smallest order statistic from a size N sample.

EX2 = DOUBLE PRECISION (Given)

Absolute expected value of the second smallest order statistic from a size N sample.

SUMM2 = DOUBLE PRECISION (Given)

Sum of squares of expected values order statistics for a sample of size N.

IFAULT = INTEGER (Returned)

Failure indicator. Zero for success, otherwise N is out of bounds.

Origin

Applied Statistics / Statlib Archive

Copyright

The Royal Statistical Society.